A worked position
What cover costs, and what it returns
A $25m position on an emerging-market sovereign, covered on the 18 to 33 point loss band. The premium is withheld from the coupon by the cell acting as paying agent, so nothing leaves your account separately.
Cover the tail and the yield falls. That is the trade, stated plainly: you give up part of the spread to remove the part of the distribution you cannot survive. The protected yield is what remains, and it is knowable before you bind.
Egypt 7.625% 02/2032 · boundary
Position notional$25,000,000
Loss band covered18 → 33 pts
Maximum recovery$3,750,000
Premium strip312 bps
Annual premium$780,000
Gross yield7.63%
Net protected yield4.51%
Illustrative figures on testnet. Pricing is produced by a pinned engine and is checkable against its published receipt.